Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0801
Annualized Std Dev 0.1867
Annualized Sharpe (Rf=0%) 0.4290

Row

Daily Return Statistics

Close
Observations 4058.0000
NAs 1.0000
Minimum -0.1034
Quartile 1 -0.0041
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1050
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0118
Skewness -0.2768
Kurtosis 11.3328

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0084
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.5494
Historical VaR (95%) -0.0173
Historical ES (95%) -0.0293
Modified VaR (95%) -0.0172
Modified ES (95%) -0.0277
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2013-03-07 -0.5494 1360 354 1006
2020-02-20 2020-03-23 2020-07-22 -0.3293 107 23 84
2018-09-24 2018-12-24 2019-04-12 -0.1987 139 64 75
2015-05-21 2016-02-11 2016-07-11 -0.1469 287 184 103
2020-09-03 2020-09-23 2020-11-13 -0.0994 51 14 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 0.9 0.6 -1.2 0 0.5 0 0.1 0.7 0 0.2 1.2 -0.4 2.4
2006 0.3 0.9 -0.3 -0.4 1.1 -0.1 -0.7 0.5 -0.3 -0.5 -0.5 -0.4 -0.6
2007 0.5 -0.5 -0.2 0.2 0.5 0.2 0.7 1.7 1.4 -2.3 0.7 -0.4 2.5
2008 1.6 -2.4 3.1 1.7 0.1 0.4 -0.2 -0.6 -0.8 0.4 -8.5 1.8 -3.8
2009 -2.6 -1.9 1.9 0.3 3.2 0.6 0.3 -2.1 -1.8 -2.5 1.1 -0.7 -4.4
2010 1.3 0.9 0.6 -1.5 -2.1 -0.3 0 3 0.3 0.1 2.1 -0.1 4.3
2011 1.3 -1.5 0.2 -0.1 -1.2 1.5 -0.9 -0.6 -0.2 -2.3 0.1 -0.3 -4
2012 1.3 0.4 0.7 0.8 -2.8 2.8 -0.3 0.1 0.4 1.1 -0.2 1.2 5.4
2013 0.9 0.2 -0.6 -0.7 -1.3 1.1 1.6 -0.3 0.6 -0.3 0.2 0.3 1.7
2014 -0.5 0.4 0.5 0.1 0.2 0.7 -0.2 0.3 -1.4 1.1 -0.9 -1.2 -0.9
2015 -1.6 -0.4 -0.5 1.4 0.1 0.5 0.1 -2.8 -0.5 -0.2 0.6 -0.7 -4
2016 0.3 2.1 0.8 -0.6 0.1 0.6 -0.2 -0.2 0.9 -0.6 -0.3 -0.4 2.4
2017 0.1 1.3 -0.2 0.1 0.5 0.5 0.1 0.1 0.1 0 -0.2 -0.3 2.2
2018 -0.2 -1.5 1.7 -0.4 1.2 0.5 -0.3 0.3 0.7 1.2 0.8 0.9 5.1
2019 0.2 0.7 1.3 -0.9 -1.1 0.9 -1 0.2 -1.4 1.1 -0.4 0.3 -0.3
2020 -2 -0.7 -4.4 -2.4 0.5 0.4 0.8 0.9 0.5 -0.9 0.8 0.6 -5.9
2021 1.7 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-01-28  24.9 SPY    117.  0        0.0056  -0.0324   0.0372   0.0348   0.0648   -0.163 GLD    42.7  0.0016 -0.00120
2 2005-01-31  25.2 SPY    118.  0.0062   0.0138  -0.0245   0.0438   0.0412   0.0562   -0.168 GLD    42.2 -0.011  -0.0129 
3 2005-02-01  25.4 SPY    119.  0.0063   0.0174  -0.0162   0.0476   0.0433   0.0506   -0.156 GLD    42.1 -0.0028 -0.0033 
4 2005-02-02  25.4 SPY    119.  0.003    0.0174  -0.0086   0.0504   0.0483   0.0588   -0.150 GLD    42.2  0.0014 -0.0124 
5 2005-02-03  25.3 SPY    119. -0.0026   0.013    0.0019   0.0346   0.0541   0.0829   -0.124 GLD    41.7 -0.0114 -0.0221 
6 2005-02-04  25.5 SPY    120.  0.0107   0.0238   0.0188   0.0316   0.0623   0.101    -0.139 GLD    41.5 -0.005  -0.0286 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart